Submitted:
24 September 2019
Posted:
25 September 2019
You are already at the latest version
Abstract
This paper models and estimates the volatility of nonfinancial, innovative and hi-tech focused stock index, the Nasdaq-100, using univariate symmetric and asymmetric GARCH models. We employ GARCH, EGARCH and GJR-GARCH using daily data over the period January 4, 2000 through March 19, 2019. We find that the volatility shocks on the index returns are quite persistent. Furthermore, our findings show that the index has leverage effect, and the impact of shocks is asymmetric, whereby the impacts of negative shocks on volatility are higher than those of positive shocks of the same magnitude.
Keywords:
volatility
; risk
; garch models
; nasdaq-100
Copyright: This open access article is published under a Creative Commons CC BY 4.0 license, which permit the free download, distribution, and reuse, provided that the author and preprint are cited in any reuse.
